Multi-dimensional Conjugate Gradient class. More...
#include <ql/math/optimization/conjugategradient.hpp>
Inheritance diagram for ConjugateGradient:
Collaboration diagram for ConjugateGradient:
Public Member Functions | |
| ConjugateGradient (const ext::shared_ptr< LineSearch > &lineSearch=ext::shared_ptr< LineSearch >()) | |
| Public Member Functions inherited from LineSearchBasedMethod | |
| LineSearchBasedMethod (ext::shared_ptr< LineSearch > lSearch=ext::shared_ptr< LineSearch >()) | |
| ~LineSearchBasedMethod () override=default | |
| EndCriteria::Type | minimize (Problem &P, const EndCriteria &endCriteria) override |
| minimize the optimization problem P More... | |
| Public Member Functions inherited from OptimizationMethod | |
| virtual | ~OptimizationMethod ()=default |
| virtual EndCriteria::Type | minimize (Problem &P, const EndCriteria &endCriteria)=0 |
| minimize the optimization problem P More... | |
Private Member Functions | |
LineSearchBasedMethod interface | |
| Array | getUpdatedDirection (const Problem &P, Real gold2, const Array &oldGradient) override |
| computes the new search direction More... | |
Additional Inherited Members | |
| virtual Array | getUpdatedDirection (const Problem &P, Real gold2, const Array &gradient)=0 |
| computes the new search direction More... | |
| Protected Attributes inherited from LineSearchBasedMethod | |
| ext::shared_ptr< LineSearch > | lineSearch_ |
| line search More... | |
Detailed Description
Multi-dimensional Conjugate Gradient class.
Fletcher-Reeves-Polak-Ribiere algorithm adapted from Numerical Recipes in C, 2nd edition.
User has to provide line-search method and optimization end criteria. Search direction \( d_i = - f'(x_i) + c_i*d_{i-1} \) where \( c_i = ||f'(x_i)||^2/||f'(x_{i-1})||^2 \) and \( d_1 = - f'(x_1) \)
This optimization method requires the knowledge of the gradient of the cost function.
Definition at line 47 of file conjugategradient.hpp.
Constructor & Destructor Documentation
◆ ConjugateGradient()
| ConjugateGradient | ( | const ext::shared_ptr< LineSearch > & | lineSearch = ext::shared_ptr<LineSearch>() | ) |
Definition at line 49 of file conjugategradient.hpp.
Member Function Documentation
◆ getUpdatedDirection()
|
overrideprivatevirtual |
computes the new search direction
Implements LineSearchBasedMethod.
Definition at line 30 of file conjugategradient.cpp.
Here is the call graph for this function: